Miscellaneous parameters

The file FRTBParameters*.csv is loaded into the FRTBParameters store.

Parameter	Parameter Name	Default Value
$\rho_{kl}$ in [MAR21.78](1)	sa.equity.spot-to-repo.correlation	0.999
$\rho_{kl}$ multiplier for Spot $\times$ Repo risk-factors in [MAR21.78](4)	sa.equity.spot-to-repo.different-issuer.correlation	0.999
$\gamma_{bc}$ between buckets 1-10 in [MAR21.80](1)	sa.equity.delta.gamma.correlation	0.15
$\gamma_{bc}$ between index buckets in [MAR21.80](3)	sa.equity.delta.gamma.index.correlation	0.75
$\gamma_{bc}$ between buckets in 1-10 and index buckets in [MAR21.80](4)	sa.equity.delta.gamma.index-cross.correlation	0.45
$RW_\sigma$ in [MAR21.92]	sa.vega.rw	0.55
Decimal places in $RW_k$ in [MAR21.92]	sa.vega.rw.rounding-dp	4
$\alpha$ in [MAR21.93](1)(a)	sa.vega.rho-option-maturity.alpha	0.01

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Documentation Index